Using a genetically informed twin design, this study examined (a) whether, in line with gene–environment correlation (rGE), a genetic disposition for anxiety puts children at risk of being victimized by a close friend or by other peers, and (b) whether, in line with gene–environment interaction (GxE), victimization by a close friend or by other peers moderates the expression of a genetic disposition for anxiety. Participants were 268 monozygotic and dizygotic twin pairs (MZ males = 71, MZ females = 80, DZ males = 56, DZ females = 61; 87% of European descent) assessed via questionnaires in Grade 8 (M age = 14.06 years, SD = 3.60). Participants reported about their victimization by a close friend and by other peers and their anxiety level. Victimization by a close friend and victimization by other peers were uncorrelated. In line with rGE, genetic factors related to anxiety predicted victimization by other peers, whereas victimization by a close friend was not predicted by heritable characteristics. Moreover, in line with a suppression process of GxE, victimization by other peers reduced the role of genetic factors in explaining interindividual differences in anxiety. In contrast, in line with a diathesis-stress process of GxE, victimization by a close friend fostered the expression of a genetic disposition for anxiety. Victimization by a close friend seems to happen to adolescents regardless of their personal, heritable characteristics. If it does occur, however, it is a source of distress mostly for youth with a genetic vulnerability for anxiety.